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Citations for " Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles"

by Hecq, Alain & Palm, Franz C & Urbain, Jean-Pierre

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  1. Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 9/01, Monash University, Department of Econometrics and Business Statistics.
  2. Hecq, Alain & Issler, João Victor, 2012. "A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data," Economics Working Papers (Ensaios Economicos da EPGE) 728, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  3. van Dijk, H.K., 2004. "Twentieth century shocks, trends and cycles in industrialized nations," Econometric Institute Research Papers EI 2004-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Beneš, Jaromír & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series, European Central Bank 0549, European Central Bank.
  5. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(3), pages 273-307.
  6. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 303-323, November.
  7. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, Elsevier, vol. 132(1), pages 195-229, May.
  8. Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
  9. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series 451, CESifo Group Munich.
  10. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, 04.
  11. Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers, University of Otago, Department of Economics 1110, University of Otago, Department of Economics, revised Oct 2011.
  12. Paresh Kumar Narayan & Seema Narayan, 2008. "The role of permanent and transitory shocks in explaining international health expenditures," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1171-1186.
  13. Marco Centoni & Gianluca Cubadda & Alain Hecq, 2008. "Common Shocks, Common Dynamics, and the International Business Cycle," CEIS Research Paper, Tor Vergata University, CEIS 106, Tor Vergata University, CEIS, revised 07 Jul 2008.
  14. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," Working Paper, Federal Reserve Bank of Atlanta 2008-16, Federal Reserve Bank of Atlanta.
  15. Enzo Weber, 2007. "Regional and Outward Economic Integration in South-East Asia," SFB 649 Discussion Papers SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  16. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005, Society for Computational Economics 258, Society for Computational Economics.
  17. Paresh Narayan, 2008. "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer, Springer, vol. 14(3), pages 280-290, August.
  18. Bilgili, Faik, 2007. "The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy," MPRA Paper 24090, University Library of Munich, Germany, revised 20 Jul 2010.
  19. Osmani Teixeira de Carvalho Guillén & Alain Hecq & João Victor Issler & Diogo Saraiva, 2013. "Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions," Working Papers Series, Central Bank of Brazil, Research Department 330, Central Bank of Brazil, Research Department.
  20. Hassan Shirvani & Barry Wilbratte, 2009. "The permanent income hypothesis in five major industrial countries: a multivariate trend-cycle decomposition test," Journal of Economics and Finance, Springer, Springer, vol. 33(1), pages 43-59, January.
  21. Guillén, Osmani Teixeira de Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  22. Michel Beine & Bertrand Candelon & Alain Hecq, 2000. "Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach," Empirica, Springer, Springer, vol. 27(2), pages 115-132, June.